Particle filtering approximations for a Gaussian-generalized inverse Gaussian model

DOI10.1016/J.SPL.2008.09.017MaRDI QIDQ1004258zbMATH OpenOpenAlexFDO

Authors Marco Ferrante, Nadia Frigo

Publication date 2 March 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1209.4592

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Abstract: Given a discrete distribution, an interesting problem is to determine the minimum size of a random sample drawn from this distribution, in order to observe a given number of different records. This problem is related with many applied problems, like the Heaps' Law in linguistics and the classical Coupon-collector's problem. In this note we are able to compute theoretically the expected size of such a sample and we provide an approximation strategy in the case of the Mandelbrot distribution.

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Cites work

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Cited in

(11)

• A Gaussian-generalized inverse Gaussian finite-dimensional filter.
• Particle Filtering With Invertible Particle Flow
• Generalised particle filters with Gaussian mixtures
• Particle Filtering for Partially Observed Gaussian State Space Models
• Particle Gaussian mixture filters. I.
• An algorithm for approximating the second moment of the normalizing constant estimate from a particle filter
• Particle filtering for continuous-time hidden Markov models
• Likelihood function modeling of particle filter in presence of non-stationary non-Gaussian measurement noise
• Autoregressive model with partial forgetting within Rao-Blackwellized particle filter
• Approximate filtering via discrete dual processes
• Exact inference for a class of hidden Markov models on general state spaces

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